Category Archives: Economic Data

Tomorrow in the middle of the afternoon the markets will brace, take a deep breath, and then parse the wording of the press release from the Federal Reserve. Consensus is that the Fed Funds target rate will stay in the 0.00% – 0.25% range where is has been since December 2008. The real focus seems […]

An interesting way to look at trends in the S&P 500® (SPXTM) Index is to look at the dates on which it first closed above its 100-point milestones. As shown in the table below, the SPX first closed above 200 in Nov. 1985, above 500 in March 1995, above 1000 in Feb. 1998, and above […]

May 2012 was a restless month in the US equity market. The S&P 500 Index declined 6% and VIX rose 40% from 17.15 (4/30/2012) to 24.06 (5/31/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index rose 28.71% and 13.13%, respectively. The S&P 500 Dynamic VIX Futures […]

In recent years I often have heard the following questions: Are there other indexes that use the VIX® methodology to create implied volatility indexes for options on other asset classes and other stock indexes? How does the volatility of the S&P 500® Index compare to the volatility of other asset classes? The answer to question […]

Some investors who are new to options have asked these questions: How can I determine how much premium will be generated by a covered call strategy? Is a high VIX level related to high option premiums? If VIX is at a high level, does that mean that a covered call strategy will perform well? Many […]

Investors often inquire as to why the prices and the price movements for the VIX (spot) Index and the VIX tradable instruments (futures, options, and ETPs) often are different. For example, yesterday (Tuesday, January 17th) the VIX spot closed at 22.20 and the VIX March futures closed at 25.55 (delayed price quotes are available at […]

Trading volume for security futures on the CBOE Emerging Markets ETF Volatility Index (VXEEM; futures ticker VXEM) was 1,106 contracts on January 11th, (the third day of trading). In contrast, the trading volume for VIX® futures was 191 contracts on March 30, 2004, its 3rd day of trading. In addition, options on the VXEEM Index […]